Similar Search Results

Bouleau, Nicolas - HAL - 2012

The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...

Persistent link: https://www.econbiz.de/10010899270

Pricing the Weather Derivatives in the Presence of Long Memory in Temperatures

Hamisultane, Hélène - HAL - 2006

Weather derivatives are financial contracts for which the underlying is not a traded asset. Therefore, they cannot be priced by the traditional financial theory based on the hedging portfolio and on the arbitrage-free argument. Some authors suggest to use the actuarial pricing approach to value...

Persistent link: https://www.econbiz.de/10008793686

Limiting distribution of the least squaresestimates in polynomial regression with longmemory noises

Boutahar, Mohamed - HAL - 2006

We give the limiting distribution of the least squares estimator in the polynomial regression model driven by some long memory processes. We prove that with an appropriate normalization, the estimation error converges, in distribution, to a random vector which components are a mixture of...

Persistent link: https://www.econbiz.de/10008794204

Baldovin-Stella stochastic volatility process and Wiener process mixtures

Peirano, Pier Paolo; Challet, Damien - HAL - 2012

mimicking well volatility relaxation phenomena such as the Omori law, fails to reproduce other stylized facts such as the …

Persistent link: https://www.econbiz.de/10010593608

The CAPM versus the risk neutral pricing model

Pepin, Dominique - HAL - 2002

We compare the risk neutral pricing model with the CAPM when it is understood that both models are incorrect. We show …

Persistent link: https://www.econbiz.de/10010899378

A class of models satisfying a dynamical version of the CAPM

Jouini, Elyès; Napp, Clotilde - HAL - 2003

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Persistent link: https://www.econbiz.de/10008793270

Energy Risk Management with Carbon Assets

Chevallier, Julien - HAL - 2009

the CAPM. These results reveal that carbon, gas, coal and bond assets share the best properties for composing an optimal …

Persistent link: https://www.econbiz.de/10008793949

Convergent trends in aggregate and firm volatility

Pollack, Joseph Richard - HAL - 2013

This article unearths the determinants of the volatility of aggregate and firm-level production proxied by output and … volatility. Similarly to their conclusions, I establish that firm volatility is not driven by a compositional bias in my sample …-level and aggregate level volatility due in part to the 2007 financial crisis. …

Persistent link: https://www.econbiz.de/10010820876

Is a public regulation of food price volatility feasible in Africa? An arch approach in Kenya

D'Hôtel, Elodie Maître; Cotty, Tristan Le; Jayne, Thomas - HAL - 2012

instruments to manage food price volatility. Many developing countries recently pursued price regulation policies, but the … policy to lower food price volatility does not depend on the nature of the policy instrument only, but also on the … be key factor influencing the degree of price volatility. Applied to trade policies, this consistency is defined by the …

Persistent link: https://www.econbiz.de/10010821035

High-End Variety Exporters Defying Distance : Micro Facts and Macroeconomic Implications

Martin, Julien; Mayneris, Florian - HAL - 2013

-end varieties has two macroeconomic implications for countries. First, the sources of a country's aggregate exports volatility are …-speci c demand shocks, and thus their volatility on a given market. However, their lower sensitivity to distance allows for a … greater geographic diversi cation of their exports, which in turn reduces aggregate volatility through a portfolio e ect …

Persistent link: https://www.econbiz.de/10010821212